Academic Journal
Portfolio Optimization with Asset-Liability Ratio Regulation Constraints
| العنوان: | Portfolio Optimization with Asset-Liability Ratio Regulation Constraints |
|---|---|
| المؤلفون: | De-Lei Sheng, Peilong Shen |
| المجموعة: | RePEc (Research Papers in Economics) |
| الوصف: | This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment leverage), and to mitigate risks of low assets’ return (or a sharp fall). Applying the stochastic optimal control technique, a Hamilton–Jacobi–Bellman (HJB) equation is derived. Then, the effective investment strategy and the minimum variance are obtained explicitly by using the Lagrange duality method. Moreover, some numerical examples are provided to verify the effectiveness of our results. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | unknown |
| Relation: | http://downloads.hindawi.com/journals/8503/2020/1435356.pdf; http://downloads.hindawi.com/journals/8503/2020/1435356.xml |
| الاتاحة: | http://downloads.hindawi.com/journals/8503/2020/1435356.pdf http://downloads.hindawi.com/journals/8503/2020/1435356.xml |
| رقم الانضمام: | edsbas.D5DC37EE |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |